999 Shurikens:

 At the  Start/Options  screen, select "Options."  In the Options menu,
 move the  cursor  to  "Shurikens."  Simultaneously  hold L and R, then
 press C, A, and B.

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Level select:

 Start a game and pause it. Then press A, B, A, B, C.  Two numbers will
 appear in the  lower  left  corner. Now you can go to any stage in the
 game.

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One-hit Wonder mode:

 At the title screen, put the cursor on Game  Start  and press A, B, C,
 B, A, Start. You'll have no lives, and one hit will kill you.